Data Source: from January 1985 to November 2023 (~39 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 22 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.28%
1 Day
Dec 22 2023
5.83%
Current Month
December 2023
The Bill Bernstein Sheltered Sam 90/10 Portfolio is a Very High Risk portfolio and can be implemented with 12 ETFs.
It's exposed for 87.3% on the Stock Market and for 2.7% on Commodities.
In the last 30 Years, the Bill Bernstein Sheltered Sam 90/10 Portfolio obtained a 8.56% compound annual return, with a 13.73% standard deviation.
Table of contents
Asset Allocation and ETFs
The Bill Bernstein Sheltered Sam 90/10 Portfolio has the following asset allocation:
87.3% Stocks
10% Fixed Income
2.7% Commodities
The Bill Bernstein Sheltered Sam 90/10 Portfolio can be implemented with the following ETFs:
| Weight (%) | Ticker | Currency | ETF Name | Investment Themes |
|---|---|---|---|---|
| 22.50 | VTV | USD | Vanguard Value | Equity, U.S., Large Cap, Value |
| 18.00 | VV | USD | Vanguard Large-Cap | Equity, U.S., Large Cap |
| 13.50 | IJS | USD | iShares S&P Small-Cap 600 Value | Equity, U.S., Small Cap, Value |
| 9.00 | VNQ | USD | Vanguard Real Estate | Real Estate, U.S. |
| 6.30 | EFV | USD | iShares MSCI EAFE Value | Equity, EAFE, Large Cap, Value |
| 4.50 | EEM | USD | iShares MSCI Emerging Markets | Equity, Emerging Markets, Large Cap |
| 4.50 | IJR | USD | iShares Core S&P Small-Cap | Equity, U.S., Small Cap |
| 4.50 | VGK | USD | Vanguard FTSE Europe | Equity, Developed Europe, Large Cap |
| 4.50 | VPL | USD | Vanguard FTSE Pacific | Equity, Developed Asia Pacific, Large Cap |
| 6.00 | SHY | USD | iShares 1-3 Year Treasury Bond | Bond, U.S., Short Term |
| 4.00 | USD | iShares TIPS Bond | Bond, U.S., All-Term | |
| 2.70 | GLTR | USD | Aberdeen Standard Physical Precious Metals Basket Shares | Commodity, Broad Precious Metals |
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.
Portfolio and ETF Returns as of Nov 30, 2023
The Bill Bernstein Sheltered Sam 90/10 Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
December 2023 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
BILL BERNSTEIN SHELTERED SAM 90/10 PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 22 2023
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y | MAX (~39Y) | |||
| Bill Bernstein Sheltered Sam 90/10 Portfolio | 0.28 | 5.83 | 7.70 | 6.19 | 3.78 | 7.08 | 7.14 | 8.56 | 10.36 | |||
| US Inflation Adjusted return | 7.91 | 5.18 | 0.62 | 2.94 | 4.22 | 5.90 | 7.37 | |||||
| Components | ||||||||||||
VTV | USD | Vanguard Value | 0.39 | Dec 22 2023 | 4.39 | 6.68 | 7.69 | 0.61 | 8.52 | 9.41 | 9.12 | 10.72 |
VV | USD | Vanguard Large-Cap | 0.22 | Dec 22 2023 | 4.31 | 9.48 | 10.62 | 14.57 | 12.47 | 11.69 | 10.07 | 11.31 |
IJS | USD | iShares S&P Small-Cap 600 Value | 0.50 | Dec 22 2023 | 13.21 | 9.07 | 4.59 | -5.38 | 5.50 | 6.78 | 10.07 | 11.60 |
VNQ | USD | Vanguard Real Estate | 0.39 | Dec 22 2023 | 8.64 | 12.08 | 4.30 | -2.99 | 3.66 | 6.41 | 8.34 | 9.08 |
EFV | USD | iShares MSCI EAFE Value | 0.54 | Dec 22 2023 | 4.39 | 6.94 | 9.04 | 12.93 | 4.80 | 2.65 | 5.54 | 8.82 |
EEM | USD | iShares MSCI Emerging Markets | -0.48 | Dec 22 2023 | 1.43 | 7.79 | 4.40 | 2.42 | 1.46 | 1.42 | 4.65 | 8.63 |
IJR | USD | iShares Core S&P Small-Cap | 0.53 | Dec 22 2023 | 12.87 | 8.27 | 5.00 | -3.96 | 5.56 | 7.47 | 9.65 | 10.69 |
VGK | USD | Vanguard FTSE Europe | 0.06 | Dec 22 2023 | 4.78 | 9.76 | 4.62 | 12.15 | 7.14 | 4.12 | 6.96 | 9.73 |
VPL | USD | Vanguard FTSE Pacific | 0.27 | Dec 22 2023 | 4.30 | 7.02 | 4.05 | 7.24 | 3.95 | 3.91 | 3.12 | 6.04 |
SHY | USD | iShares 1-3 Year Treasury Bond | 0.04 | Dec 22 2023 | 0.99 | 1.05 | 1.53 | 2.96 | 1.04 | 0.77 | 3.00 | 4.33 |
TIP | USD | iShares TIPS Bond | -0.20 | Dec 22 2023 | 2.37 | 2.77 | -1.03 | -0.52 | 2.25 | 1.70 | 4.90 | 6.69 |
GLTR | USD | Aberdeen Standard Physical Precious Metals Basket Shares | 0.21 | Dec 22 2023 | 0.66 | 3.57 | 1.50 | 5.42 | 8.91 | 2.99 | 6.01 | 7.06 |
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Nov 2023. Current inflation (annualized) is 1Y: 3.14% , 5Y: 4.03% , 10Y: 2.80% , 30Y: 2.51%
Live update: World Markets and Indexes
In 2022, the Bill Bernstein Sheltered Sam 90/10 Portfolio granted a 2.12% dividend yield. If you are interested in getting periodic income, please refer to the Bill Bernstein Sheltered Sam 90/10 Portfolio: Dividend Yield page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993, now would be worth 11.76$, with a total return of 1075.58% (8.56% annualized).
The Inflation Adjusted Capital now would be 5.58$, with a net total return of 458.21% (5.90% annualized).
An investment of 1$, since January 1985, now would be worth 46.39$, with a total return of 4539.00% (10.36% annualized).
The Inflation Adjusted Capital now would be 15.91$, with a net total return of 1490.90% (7.37% annualized).
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Portfolio Metrics as of Nov 30, 2023
Metrics of Bill Bernstein Sheltered Sam 90/10 Portfolio, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
BILL BERNSTEIN SHELTERED SAM 90/10 PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX (~39Y) | |
| Investment Return (%) | 7.70 | 0.20 | 6.19 | 3.78 | 6.25 | 7.08 | 7.14 | 7.91 | 8.56 | 10.36 |
| Infl. Adjusted Return (%) details | 7.91 | 0.19 | 5.18 | 0.62 | 0.55 | 2.94 | 4.22 | 5.20 | 5.90 | 7.37 |
| US Inflation (%) | -0.20 | 0.01 | 0.96 | 3.14 | 5.67 | 4.03 | 2.80 | 2.58 | 2.51 | 2.79 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||||
DRAWDOWN Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -9.69 | -20.42 | -22.65 | -22.65 | -50.12 | -50.12 | -50.12 | |||
| Start to Recovery (# months) details | 4* | 23* | 11 | 11 | 42 | 42 | 42 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2020 01 | 2020 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 3 | 9 | 3 | 3 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 8 | 8 | 26 | 26 | 26 | |||
| End (yyyy mm) | - | - | 2020 11 | 2020 11 | 2011 04 | 2011 04 | 2011 04 | |||
| Longest Drawdown Depth (%) | -4.95 | same as deepest | -20.42 | -20.42 | same as deepest | same as deepest | same as deepest | |||
| Start to Recovery (# months) details | 5 | 23* | 23* | |||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 4 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 26 | 26 | 26 | |||
| End (yyyy mm) | 2023 06 | - | - | - | 2011 04 | 2011 04 | 2011 04 | |||
| Longest negative period (# months) details | 11 | 31 | 31 | 37 | 65 | 102 | 102 | |||
| Period Start (yyyy mm) | 2022 12 | 2021 04 | 2021 04 | 2017 03 | 2006 05 | 2000 09 | 2000 09 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2020 03 | 2011 09 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -3.97 | -0.98 | -0.98 | -0.44 | 0.00 | -0.30 | -0.30 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -10.27 | -25.25 | -25.25 | -25.25 | -50.88 | -50.88 | -50.88 | |||
| Start to Recovery (# months) details | 4* | 23* | 23* | 23* | 65 | 65 | 65 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 49 | 49 | 49 | |||
| End (yyyy mm) | - | - | - | - | 2013 03 | 2013 03 | 2013 03 | |||
| Longest Drawdown Depth (%) | -6.50 | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | |||
| Start to Recovery (# months) details | 6 | |||||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 4 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 2 | 14 | 14 | 14 | 49 | 49 | 49 | |||
| End (yyyy mm) | 2023 07 | - | - | - | 2013 03 | 2013 03 | 2013 03 | |||
| Longest negative period (# months) details | 11 | 35 | 47 | 58 | 74 | 139 | 139 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2019 12 | 2017 12 | 2005 08 | 1997 08 | 1997 08 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2022 09 | 2011 09 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -7.35 | -2.03 | -0.39 | -0.18 | -0.16 | -0.22 | -0.22 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
RISK INDICATORS | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 14.43 | 14.82 | 16.80 | 13.34 | 14.36 | 13.73 | 13.58 | |||
| Sharpe Ratio | -0.08 | 0.29 | 0.32 | 0.46 | 0.46 | 0.46 | 0.47 | |||
| Sortino Ratio | -0.12 | 0.41 | 0.43 | 0.61 | 0.60 | 0.60 | 0.60 | |||
| Ulcer Index | 4.12 | 7.76 | 7.71 | 5.95 | 11.12 | 9.91 | 9.13 | |||
| Ratio: Return / Standard Deviation | 0.26 | 0.42 | 0.42 | 0.54 | 0.55 | 0.62 | 0.76 | |||
| Ratio: Return / Deepest Drawdown | 0.39 | 0.31 | 0.31 | 0.32 | 0.16 | 0.17 | 0.21 | |||
| % Positive Months details | 50% | 58% | 61% | 66% | 66% | 66% | 67% | |||
| Positive Months | 6 | 21 | 37 | 80 | 160 | 238 | 315 | |||
| Negative Months | 6 | 15 | 23 | 40 | 80 | 122 | 152 | |||
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 7.14 | 13.95 | 13.95 | 15.54 | ||||||
| Worst 10 Years Return (%) - Annualized | 5.14 | 1.91 | 1.91 | |||||||
| Best 10 Years Return (%) - Annualized | 4.22 | 11.97 | 11.97 | 12.45 | ||||||
| Worst 10 Years Return (%) - Annualized | 3.28 | -0.65 | -0.65 | |||||||
ROLLING PERIOD RETURNS Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 57.50 | 25.64 | 21.29 | 13.95 | 9.72 | 8.56 | ||||
| Worst Rolling Return (%) - Annualized | -43.25 | -14.23 | -3.68 | 1.91 | 6.02 | |||||
| % Positive Periods | 75% | 87% | 98% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 54.20 | 22.73 | 18.86 | 11.97 | 7.25 | 5.90 | ||||
| Worst Rolling Return (%) - Annualized | -43.38 | -16.09 | -6.17 | -0.65 | 3.87 | |||||
| % Positive Periods | 70% | 85% | 88% | 99% | 100% | 100% | ||||
| Over all the available data source (Jan 1985 - Nov 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 57.50 | 25.64 | 21.29 | 15.54 | 13.44 | 11.41 | ||||
| Worst Rolling Return (%) - Annualized | -43.25 | -14.23 | -3.68 | 1.91 | 6.02 | 8.19 | ||||
| % Positive Periods | 77% | 90% | 98% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 54.20 | 22.73 | 18.86 | 12.45 | 10.13 | 8.47 | ||||
| Worst Rolling Return (%) - Annualized | -43.38 | -16.09 | -6.17 | -0.65 | 3.87 | 5.53 | ||||
| % Positive Periods | 73% | 88% | 91% | 99% | 100% | 100% | ||||
WITHDRAWAL RATES (WR) | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 35.42 | 22.36 | 12.74 | 8.22 | 7.78 | 11.59 | ||||
| Perpetual WR (%) | 0.55 | 2.85 | 4.05 | 4.94 | 5.57 | 6.86 | ||||
Terms and Definitions
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
- Longest negative period: it's the maximum period for which an overall negative return has been observed
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation)
- Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio
- Best/Worst 10Y returns: the best and the worst 10-year return over a time frame
- Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
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Portfolio Components Correlation
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 November 2023
Swipe left to see all data
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.88 | 0.85 | 0.90 | 0.90 | 0.83 | 0.85 | 0.88 | 0.84 | 0.31 | 0.65 | 0.29 |
VV | 0.88 | - | 0.83 | 0.91 | 0.76 | 0.85 | 0.85 | 0.85 | 0.89 | 0.42 | 0.78 | 0.31 |
IJS | 0.85 | 0.83 | - | 0.91 | 0.86 | 0.81 | 0.99 | 0.83 | 0.81 | 0.08 | 0.51 | 0.02 |
VNQ | 0.90 | 0.91 | 0.91 | - | 0.88 | 0.87 | 0.90 | 0.93 | 0.91 | 0.40 | 0.74 | 0.31 |
EFV | 0.90 | 0.76 | 0.86 | 0.88 | - | 0.87 | 0.82 | 0.94 | 0.87 | 0.33 | 0.65 | 0.28 |
EEM | 0.83 | 0.85 | 0.81 | 0.87 | 0.87 | - | 0.79 | 0.87 | 0.99 | 0.54 | 0.77 | 0.50 |
IJR | 0.85 | 0.85 | 0.99 | 0.90 | 0.82 | 0.79 | - | 0.79 | 0.80 | 0.06 | 0.49 | -0.01 |
VGK | 0.88 | 0.85 | 0.83 | 0.93 | 0.94 | 0.87 | 0.79 | - | 0.91 | 0.48 | 0.83 | 0.42 |
VPL | 0.84 | 0.89 | 0.81 | 0.91 | 0.87 | 0.99 | 0.80 | 0.91 | - | 0.56 | 0.81 | 0.49 |
SHY | 0.31 | 0.42 | 0.08 | 0.40 | 0.33 | 0.54 | 0.06 | 0.48 | 0.56 | - | 0.83 | 0.86 |
TIP | 0.65 | 0.78 | 0.51 | 0.74 | 0.65 | 0.77 | 0.49 | 0.83 | 0.81 | 0.83 | - | 0.68 |
GLTR | 0.29 | 0.31 | 0.02 | 0.31 | 0.28 | 0.50 | -0.01 | 0.42 | 0.49 | 0.86 | 0.68 | - |
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.92 | 0.91 | 0.82 | 0.90 | 0.72 | 0.92 | 0.90 | 0.84 | -0.05 | 0.45 | 0.27 |
VV | 0.92 | - | 0.85 | 0.87 | 0.81 | 0.73 | 0.89 | 0.89 | 0.86 | 0.10 | 0.61 | 0.33 |
IJS | 0.91 | 0.85 | - | 0.78 | 0.87 | 0.75 | 0.99 | 0.84 | 0.83 | -0.11 | 0.39 | 0.17 |
VNQ | 0.82 | 0.87 | 0.78 | - | 0.75 | 0.68 | 0.81 | 0.83 | 0.78 | 0.10 | 0.66 | 0.33 |
EFV | 0.90 | 0.81 | 0.87 | 0.75 | - | 0.81 | 0.85 | 0.95 | 0.91 | 0.03 | 0.41 | 0.29 |
EEM | 0.72 | 0.73 | 0.75 | 0.68 | 0.81 | - | 0.75 | 0.82 | 0.87 | 0.20 | 0.47 | 0.46 |
IJR | 0.92 | 0.89 | 0.99 | 0.81 | 0.85 | 0.75 | - | 0.85 | 0.85 | -0.08 | 0.45 | 0.20 |
VGK | 0.90 | 0.89 | 0.84 | 0.83 | 0.95 | 0.82 | 0.85 | - | 0.92 | 0.17 | 0.57 | 0.40 |
VPL | 0.84 | 0.86 | 0.83 | 0.78 | 0.91 | 0.87 | 0.85 | 0.92 | - | 0.21 | 0.55 | 0.36 |
SHY | -0.05 | 0.10 | -0.11 | 0.10 | 0.03 | 0.20 | -0.08 | 0.17 | 0.21 | - | 0.62 | 0.33 |
TIP | 0.45 | 0.61 | 0.39 | 0.66 | 0.41 | 0.47 | 0.45 | 0.57 | 0.55 | 0.62 | - | 0.47 |
GLTR | 0.27 | 0.33 | 0.17 | 0.33 | 0.29 | 0.46 | 0.20 | 0.40 | 0.36 | 0.33 | 0.47 | - |
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.93 | 0.88 | 0.70 | 0.86 | 0.68 | 0.88 | 0.85 | 0.80 | -0.11 | 0.33 | 0.17 |
VV | 0.93 | - | 0.83 | 0.74 | 0.80 | 0.70 | 0.86 | 0.85 | 0.83 | 0.03 | 0.48 | 0.23 |
IJS | 0.88 | 0.83 | - | 0.68 | 0.77 | 0.64 | 0.99 | 0.74 | 0.74 | -0.14 | 0.29 | 0.10 |
VNQ | 0.70 | 0.74 | 0.68 | - | 0.59 | 0.54 | 0.70 | 0.66 | 0.63 | 0.16 | 0.63 | 0.28 |
EFV | 0.86 | 0.80 | 0.77 | 0.59 | - | 0.79 | 0.76 | 0.95 | 0.89 | -0.03 | 0.33 | 0.23 |
EEM | 0.68 | 0.70 | 0.64 | 0.54 | 0.79 | - | 0.63 | 0.78 | 0.86 | 0.15 | 0.42 | 0.41 |
IJR | 0.88 | 0.86 | 0.99 | 0.70 | 0.76 | 0.63 | - | 0.75 | 0.76 | -0.11 | 0.33 | 0.11 |
VGK | 0.85 | 0.85 | 0.74 | 0.66 | 0.95 | 0.78 | 0.75 | - | 0.87 | 0.10 | 0.46 | 0.30 |
VPL | 0.80 | 0.83 | 0.74 | 0.63 | 0.89 | 0.86 | 0.76 | 0.87 | - | 0.12 | 0.45 | 0.29 |
SHY | -0.11 | 0.03 | -0.14 | 0.16 | -0.03 | 0.15 | -0.11 | 0.10 | 0.12 | - | 0.62 | 0.33 |
TIP | 0.33 | 0.48 | 0.29 | 0.63 | 0.33 | 0.42 | 0.33 | 0.46 | 0.45 | 0.62 | - | 0.48 |
GLTR | 0.17 | 0.23 | 0.10 | 0.28 | 0.23 | 0.41 | 0.11 | 0.30 | 0.29 | 0.33 | 0.48 | - |
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.95 | 0.85 | 0.64 | 0.82 | 0.71 | 0.80 | 0.83 | 0.68 | -0.15 | 0.16 | 0.38 |
VV | 0.95 | - | 0.82 | 0.62 | 0.78 | 0.73 | 0.82 | 0.84 | 0.70 | -0.12 | 0.21 | 0.38 |
IJS | 0.85 | 0.82 | - | 0.69 | 0.75 | 0.67 | 0.96 | 0.74 | 0.62 | -0.17 | 0.13 | 0.38 |
VNQ | 0.64 | 0.62 | 0.69 | - | 0.61 | 0.52 | 0.65 | 0.61 | 0.50 | -0.02 | 0.33 | 0.39 |
EFV | 0.82 | 0.78 | 0.75 | 0.61 | - | 0.78 | 0.73 | 0.94 | 0.84 | -0.14 | 0.17 | 0.47 |
EEM | 0.71 | 0.73 | 0.67 | 0.52 | 0.78 | - | 0.70 | 0.78 | 0.76 | -0.09 | 0.19 | 0.62 |
IJR | 0.80 | 0.82 | 0.96 | 0.65 | 0.73 | 0.70 | - | 0.74 | 0.65 | -0.19 | 0.12 | 0.40 |
VGK | 0.83 | 0.84 | 0.74 | 0.61 | 0.94 | 0.78 | 0.74 | - | 0.74 | -0.10 | 0.21 | 0.45 |
VPL | 0.68 | 0.70 | 0.62 | 0.50 | 0.84 | 0.76 | 0.65 | 0.74 | - | -0.11 | 0.21 | 0.50 |
SHY | -0.15 | -0.12 | -0.17 | -0.02 | -0.14 | -0.09 | -0.19 | -0.10 | -0.11 | - | 0.62 | 0.04 |
TIP | 0.16 | 0.21 | 0.13 | 0.33 | 0.17 | 0.19 | 0.12 | 0.21 | 0.21 | 0.62 | - | 0.29 |
GLTR | 0.38 | 0.38 | 0.38 | 0.39 | 0.47 | 0.62 | 0.40 | 0.45 | 0.50 | 0.04 | 0.29 | - |
| Asset | VTV | VV | IJS | VNQ | EFV | EEM | IJR | VGK | VPL | SHY | TIP | GLTR |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VTV | - | 0.95 | 0.86 | 0.64 | 0.83 | 0.68 | 0.82 | 0.79 | 0.55 | -0.03 | 0.21 | 0.32 |
VV | 0.95 | - | 0.83 | 0.61 | 0.81 | 0.69 | 0.84 | 0.79 | 0.57 | -0.02 | 0.24 | 0.32 |
IJS | 0.86 | 0.83 | - | 0.70 | 0.77 | 0.64 | 0.96 | 0.71 | 0.51 | -0.10 | 0.14 | 0.33 |
VNQ | 0.64 | 0.61 | 0.70 | - | 0.60 | 0.49 | 0.65 | 0.57 | 0.42 | 0.02 | 0.30 | 0.33 |
EFV | 0.83 | 0.81 | 0.77 | 0.60 | - | 0.71 | 0.74 | 0.89 | 0.71 | -0.02 | 0.21 | 0.41 |
EEM | 0.68 | 0.69 | 0.64 | 0.49 | 0.71 | - | 0.66 | 0.68 | 0.59 | 0.02 | 0.21 | 0.44 |
IJR | 0.82 | 0.84 | 0.96 | 0.65 | 0.74 | 0.66 | - | 0.70 | 0.52 | -0.12 | 0.13 | 0.34 |
VGK | 0.79 | 0.79 | 0.71 | 0.57 | 0.89 | 0.68 | 0.70 | - | 0.68 | 0.02 | 0.23 | 0.41 |
VPL | 0.55 | 0.57 | 0.51 | 0.42 | 0.71 | 0.59 | 0.52 | 0.68 | - | 0.02 | 0.20 | 0.42 |
SHY | -0.03 | -0.02 | -0.10 | 0.02 | -0.02 | 0.02 | -0.12 | 0.02 | 0.02 | - | 0.71 | -0.02 |
TIP | 0.21 | 0.24 | 0.14 | 0.30 | 0.21 | 0.21 | 0.13 | 0.23 | 0.20 | 0.71 | - | 0.14 |
GLTR | 0.32 | 0.32 | 0.33 | 0.33 | 0.41 | 0.44 | 0.34 | 0.41 | 0.42 | -0.02 | 0.14 | - |
If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.
Drawdowns
A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
BILL BERNSTEIN SHELTERED SAM 90/10 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -50.12% | Nov 2007 | Feb 2009 | 16 | Apr 2011 | 26 | 42 | 23.90 |
| -22.65% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 10.44 |
| -21.79% | Feb 2001 | Sep 2002 | 20 | Oct 2003 | 13 | 33 | 11.53 |
| -20.42% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 9.60 |
| -17.83% | May 2011 | Sep 2011 | 5 | Mar 2012 | 6 | 11 | 7.88 |
| -17.68% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 7.05 |
| -11.79% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 | 5.17 |
| -9.22% | Jun 2015 | Jan 2016 | 8 | Jun 2016 | 5 | 13 | 5.08 |
| -7.26% | Apr 2012 | May 2012 | 2 | Sep 2012 | 4 | 6 | 3.15 |
| -6.92% | Feb 1994 | Mar 1994 | 2 | Apr 1995 | 13 | 15 | 4.29 |
| -6.55% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 3.00 |
| -5.49% | May 2019 | May 2019 | 1 | Jul 2019 | 2 | 3 | 2.75 |
| -5.36% | Jun 2007 | Jul 2007 | 2 | Oct 2007 | 3 | 5 | 2.85 |
| -4.71% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 | 3.20 |
| -4.53% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 | 2.30 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -50.88% | Nov 2007 | Feb 2009 | 16 | Mar 2013 | 49 | 65 | 21.93 |
| -25.25% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 15.21 |
| -24.95% | Feb 2001 | Mar 2003 | 26 | Nov 2003 | 8 | 34 | 13.54 |
| -22.99% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 10.76 |
| -18.13% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 7.51 |
| -11.73% | Feb 2018 | Dec 2018 | 11 | Oct 2019 | 10 | 21 | 4.47 |
| -9.91% | Mar 2015 | Sep 2015 | 7 | Jul 2016 | 10 | 17 | 5.14 |
| -8.66% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 | 5.61 |
| -7.25% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 3.46 |
| -5.52% | Jun 2007 | Jul 2007 | 2 | Oct 2007 | 3 | 5 | 2.93 |
| -5.36% | Jan 2005 | Apr 2005 | 4 | Jul 2005 | 3 | 7 | 2.56 |
| -5.09% | Jan 2000 | Feb 2000 | 2 | Aug 2000 | 6 | 8 | 2.81 |
| -4.95% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 | 2.71 |
| -4.84% | Apr 2004 | Apr 2004 | 1 | Oct 2004 | 6 | 7 | 2.68 |
| -4.53% | Oct 1997 | Oct 1997 | 1 | Feb 1998 | 4 | 5 | 2.36 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -50.12% | Nov 2007 | Feb 2009 | 16 | Apr 2011 | 26 | 42 | 23.90 |
| -23.28% | Sep 1987 | Nov 1987 | 3 | Jan 1989 | 14 | 17 | 11.71 |
| -22.65% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 10.44 |
| -21.79% | Feb 2001 | Sep 2002 | 20 | Oct 2003 | 13 | 33 | 11.53 |
| -20.42% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 9.60 |
| -17.83% | May 2011 | Sep 2011 | 5 | Mar 2012 | 6 | 11 | 7.88 |
| -17.68% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 7.05 |
| -15.69% | Jan 1990 | Sep 1990 | 9 | Feb 1991 | 5 | 14 | 8.10 |
| -11.79% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 | 5.17 |
| -9.22% | Jun 2015 | Jan 2016 | 8 | Jun 2016 | 5 | 13 | 5.08 |
| -7.26% | Apr 2012 | May 2012 | 2 | Sep 2012 | 4 | 6 | 3.15 |
| -6.92% | Feb 1994 | Mar 1994 | 2 | Apr 1995 | 13 | 15 | 4.29 |
| -6.55% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 3.00 |
| -5.49% | May 2019 | May 2019 | 1 | Jul 2019 | 2 | 3 | 2.75 |
| -5.36% | Jun 2007 | Jul 2007 | 2 | Oct 2007 | 3 | 5 | 2.85 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -50.88% | Nov 2007 | Feb 2009 | 16 | Mar 2013 | 49 | 65 | 21.93 |
| -25.25% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 15.21 |
| -24.95% | Feb 2001 | Mar 2003 | 26 | Nov 2003 | 8 | 34 | 13.54 |
| -23.95% | Sep 1987 | Nov 1987 | 3 | May 1989 | 18 | 21 | 12.27 |
| -22.99% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 | 10.76 |
| -20.04% | Jan 1990 | Oct 1990 | 10 | May 1991 | 7 | 17 | 10.40 |
| -18.13% | May 1998 | Aug 1998 | 4 | Apr 1999 | 8 | 12 | 7.51 |
| -11.73% | Feb 2018 | Dec 2018 | 11 | Oct 2019 | 10 | 21 | 4.47 |
| -9.91% | Mar 2015 | Sep 2015 | 7 | Jul 2016 | 10 | 17 | 5.14 |
| -8.66% | Feb 1994 | Nov 1994 | 10 | May 1995 | 6 | 16 | 5.61 |
| -7.25% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 | 3.46 |
| -5.52% | Jun 2007 | Jul 2007 | 2 | Oct 2007 | 3 | 5 | 2.93 |
| -5.36% | Jan 2005 | Apr 2005 | 4 | Jul 2005 | 3 | 7 | 2.56 |
| -5.09% | Jan 2000 | Feb 2000 | 2 | Aug 2000 | 6 | 8 | 2.81 |
| -5.06% | Sep 1986 | Sep 1986 | 1 | Jan 1987 | 4 | 5 | 2.41 |
Rolling Returns
( more details)
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
BILL BERNSTEIN SHELTERED SAM 90/10 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Inflation Adjusted:
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -43.25 | 03/2008 02/2009 | 0.56$ | -4.13 | 0.95$ | 11.13 | 1.11$ | 22.27 | 1.22$ | 57.50 | 03/2009 02/2010 | 1.57$ | 3.78 | 24.93% |
| 2Y | -26.14 | 03/2007 02/2009 | 0.54$ | -0.17 | 0.99$ | 10.29 | 1.21$ | 18.48 | 1.40$ | 39.42 | 03/2009 02/2011 | 1.94$ | -0.32 | 15.43% |
| 3Y | -14.23 | 03/2006 02/2009 | 0.63$ | 2.15 | 1.06$ | 9.79 | 1.32$ | 15.52 | 1.54$ | 25.64 | 03/2009 02/2012 | 1.98$ | 6.25 | 12.62% |
| 5Y | -3.68 | 03/2004 02/2009 | 0.82$ | 3.12 | 1.16$ | 7.90 | 1.46$ | 13.74 | 1.90$ | 21.29 | 03/2009 02/2014 | 2.62$ | 7.08 | 1.99% |
| 7Y | 0.47 | 03/2002 02/2009 | 1.03$ | 5.42 | 1.44$ | 8.31 | 1.74$ | 10.45 | 2.00$ | 14.73 | 03/2009 02/2016 | 2.61$ | 7.63 | 0.00% |
| 10Y | 1.91 | 03/1999 02/2009 | 1.20$ | 5.72 | 1.74$ | 8.46 | 2.25$ | 10.67 | 2.75$ | 13.95 | 03/2009 02/2019 | 3.69$ | 7.14 | 0.00% |
| 15Y | 5.35 | 10/2007 09/2022 | 2.18$ | 6.71 | 2.64$ | 7.60 | 2.99$ | 8.39 | 3.34$ | 10.41 | 02/2003 01/2018 | 4.41$ | 10.13 | 0.00% |
| 20Y | 6.02 | 04/2000 03/2020 | 3.22$ | 7.43 | 4.19$ | 8.23 | 4.86$ | 9.22 | 5.83$ | 9.72 | 12/1994 11/2014 | 6.38$ | 7.91 | 0.00% |
| 30Y | 8.56 | 12/1993 11/2023 | 11.75$ | 8.56 | 11.75$ | 8.56 | 11.75$ | 8.56 | 11.75$ | 8.56 | 12/1993 11/2023 | 11.75$ | 8.56 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -43.38 | 03/2008 02/2009 | 0.56$ | -7.22 | 0.92$ | 9.13 | 1.09$ | 20.05 | 1.20$ | 54.20 | 03/2009 02/2010 | 1.54$ | 0.62 | 29.51% |
| 2Y | -27.66 | 03/2007 02/2009 | 0.52$ | -2.75 | 0.94$ | 7.54 | 1.15$ | 15.55 | 1.33$ | 36.52 | 03/2009 02/2011 | 1.86$ | -5.16 | 20.47% |
| 3Y | -16.09 | 03/2006 02/2009 | 0.59$ | 0.06 | 1.00$ | 7.35 | 1.23$ | 13.13 | 1.44$ | 22.73 | 03/2009 02/2012 | 1.84$ | 0.55 | 14.77% |
| 5Y | -6.17 | 03/2004 02/2009 | 0.72$ | 0.58 | 1.02$ | 5.77 | 1.32$ | 10.97 | 1.68$ | 18.86 | 03/2009 02/2014 | 2.37$ | 2.94 | 11.30% |
| 7Y | -2.04 | 03/2002 02/2009 | 0.86$ | 3.23 | 1.24$ | 5.67 | 1.47$ | 8.43 | 1.76$ | 12.92 | 03/2009 02/2016 | 2.34$ | 3.99 | 1.08% |
| 10Y | -0.65 | 03/1999 02/2009 | 0.93$ | 3.71 | 1.43$ | 6.03 | 1.79$ | 8.06 | 2.17$ | 11.97 | 03/2009 02/2019 | 3.09$ | 4.22 | 0.83% |
| 15Y | 2.80 | 03/1994 02/2009 | 1.51$ | 4.34 | 1.89$ | 5.21 | 2.14$ | 6.02 | 2.40$ | 8.15 | 02/2003 01/2018 | 3.23$ | 7.45 | 0.00% |
| 20Y | 3.87 | 04/2000 03/2020 | 2.13$ | 5.10 | 2.70$ | 5.87 | 3.12$ | 6.64 | 3.61$ | 7.25 | 03/1995 02/2015 | 4.05$ | 5.20 | 0.00% |
| 30Y | 5.90 | 12/1993 11/2023 | 5.58$ | 5.90 | 5.58$ | 5.90 | 5.58$ | 5.90 | 5.58$ | 5.90 | 12/1993 11/2023 | 5.58$ | 5.90 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -43.25 | 03/2008 02/2009 | 0.56$ | -3.47 | 0.96$ | 12.54 | 1.12$ | 24.58 | 1.24$ | 57.50 | 03/2009 02/2010 | 1.57$ | 3.78 | 22.59% |
| 2Y | -26.14 | 03/2007 02/2009 | 0.54$ | 2.27 | 1.04$ | 11.15 | 1.23$ | 18.78 | 1.41$ | 39.42 | 03/2009 02/2011 | 1.94$ | -0.32 | 11.71% |
| 3Y | -14.23 | 03/2006 02/2009 | 0.63$ | 4.04 | 1.12$ | 11.10 | 1.37$ | 16.30 | 1.57$ | 25.64 | 03/2009 02/2012 | 1.98$ | 6.25 | 9.49% |
| 5Y | -3.68 | 03/2004 02/2009 | 0.82$ | 4.16 | 1.22$ | 10.38 | 1.63$ | 14.99 | 2.01$ | 21.29 | 03/2009 02/2014 | 2.62$ | 7.08 | 1.47% |
| 7Y | 0.47 | 03/2002 02/2009 | 1.03$ | 6.22 | 1.52$ | 9.42 | 1.87$ | 13.57 | 2.43$ | 18.68 | 10/1990 09/1997 | 3.31$ | 7.63 | 0.00% |
| 10Y | 1.91 | 03/1999 02/2009 | 1.20$ | 6.30 | 1.84$ | 9.54 | 2.48$ | 13.25 | 3.47$ | 15.54 | 12/1987 11/1997 | 4.24$ | 7.14 | 0.00% |
| 15Y | 5.35 | 10/2007 09/2022 | 2.18$ | 7.01 | 2.76$ | 8.20 | 3.25$ | 11.86 | 5.37$ | 15.73 | 01/1985 12/1999 | 8.94$ | 10.13 | 0.00% |
| 20Y | 6.02 | 04/2000 03/2020 | 3.22$ | 7.67 | 4.38$ | 8.93 | 5.53$ | 11.48 | 8.79$ | 13.44 | 01/1985 12/2004 | 12.45$ | 7.91 | 0.00% |
| 30Y | 8.19 | 11/1993 10/2023 | 10.60$ | 9.00 | 13.25$ | 9.64 | 15.79$ | 10.25 | 18.66$ | 11.41 | 01/1985 12/2014 | 25.55$ | 8.56 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
Swipe left to see all data
| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -43.38 | 03/2008 02/2009 | 0.56$ | -6.40 | 0.93$ | 9.32 | 1.09$ | 21.37 | 1.21$ | 54.20 | 03/2009 02/2010 | 1.54$ | 0.62 | 26.97% |
| 2Y | -27.66 | 03/2007 02/2009 | 0.52$ | -0.67 | 0.98$ | 7.76 | 1.16$ | 15.56 | 1.33$ | 36.52 | 03/2009 02/2011 | 1.86$ | -5.16 | 15.99% |
| 3Y | -16.09 | 03/2006 02/2009 | 0.59$ | 1.58 | 1.04$ | 7.89 | 1.25$ | 13.17 | 1.44$ | 22.73 | 03/2009 02/2012 | 1.84$ | 0.55 | 11.57% |
| 5Y | -6.17 | 03/2004 02/2009 | 0.72$ | 1.70 | 1.08$ | 7.55 | 1.43$ | 11.89 | 1.75$ | 18.86 | 03/2009 02/2014 | 2.37$ | 2.94 | 8.33% |
| 7Y | -2.04 | 03/2002 02/2009 | 0.86$ | 3.74 | 1.29$ | 7.00 | 1.60$ | 10.21 | 1.97$ | 15.43 | 10/1990 09/1997 | 2.73$ | 3.99 | 0.78% |
| 10Y | -0.65 | 03/1999 02/2009 | 0.93$ | 4.15 | 1.50$ | 7.25 | 2.01$ | 9.98 | 2.58$ | 12.45 | 10/1990 09/2000 | 3.23$ | 4.22 | 0.57% |
| 15Y | 2.80 | 03/1994 02/2009 | 1.51$ | 4.66 | 1.97$ | 5.86 | 2.35$ | 8.85 | 3.56$ | 12.17 | 01/1985 12/1999 | 5.59$ | 7.45 | 0.00% |
| 20Y | 3.87 | 04/2000 03/2020 | 2.13$ | 5.37 | 2.84$ | 6.34 | 3.41$ | 8.16 | 4.80$ | 10.13 | 01/1985 12/2004 | 6.89$ | 5.20 | 0.00% |
| 30Y | 5.53 | 11/1993 10/2023 | 5.02$ | 6.39 | 6.41$ | 6.95 | 7.50$ | 7.51 | 8.76$ | 8.47 | 01/1985 12/2014 | 11.46$ | 5.90 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
If you need a deeper detail about rolling returns, please refer to the Bill Bernstein Sheltered Sam 90/10 Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Bill Bernstein Sheltered Sam 90/10 Portfolio?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the
page.
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 2.00 | -1.02 | -1.77 | 2.03 | -0.34 | 1.11 | 2.79 | -0.48 | -3.27 | 2.01 | 4.98 | 0.24 |
| Best | 7.9 2019 | 4.2 2021 | 4.0 2021 | 9.1 2020 | 3.4 2020 | 5.8 2019 | 5.8 2022 | 4.3 2020 | 2.7 2019 | 7.7 2022 | 11.4 2020 | 5.0 2021 |
| Worst | -3.3 2022 | -7.3 2020 | -14.8 2020 | -5.7 2022 | -5.5 2019 | -7.4 2022 | 0.1 2021 | -3.8 2022 | -8.6 2022 | -2.9 2023 | -2.6 2021 | -7.4 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 0.61 | 0.12 | -0.17 | 1.37 | 0.25 | 0.85 | 2.09 | -0.40 | -1.96 | 1.23 | 3.41 | 0.42 |
| Best | 7.9 2019 | 4.3 2014 | 7.1 2016 | 9.1 2020 | 3.4 2020 | 5.8 2019 | 5.8 2022 | 4.3 2020 | 2.7 2019 | 7.7 2022 | 11.4 2020 | 5.0 2021 |
| Worst | -4.4 2016 | -7.3 2020 | -14.8 2020 | -5.7 2022 | -5.5 2019 | -7.4 2022 | -1.7 2014 | -5.4 2015 | -8.6 2022 | -6.2 2018 | -2.6 2021 | -7.4 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 1.13 | 0.65 | 1.17 | 1.79 | 0.98 | 0.36 | 1.27 | -0.17 | -0.58 | 0.47 | 1.66 | 2.14 |
| Best | 10.4 1987 | 6.9 1986 | 7.8 2009 | 12.7 2009 | 6.9 1990 | 5.8 2019 | 8.4 2009 | 6.8 1986 | 8.0 2010 | 10.5 2011 | 11.4 2020 | 9.4 1991 |
| Worst | -10.8 2009 | -11.0 2009 | -14.8 2020 | -5.7 2022 | -7.5 2010 | -7.7 2008 | -9.2 2002 | -13.7 1998 | -8.6 2022 | -19.2 1987 | -8.3 2008 | -7.4 2018 |
Monthly Seasonality over the period Feb 1985 - Nov 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Bill Bernstein Sheltered Sam 90/10 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
BILL BERNSTEIN SHELTERED SAM 90/10 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
238 Positive Months (66%) - 122 Negative Months (34%)
315 Positive Months (67%) - 152 Negative Months (33%)
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(Scroll down to see all data)
Investment Returns, up to December 2010, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can see details about extended Data Sources here.
In particular, the series derived from equivalent datasets are:
- VTV - Vanguard Value (VTV), up to December 2004
- VV - Vanguard Large-Cap (VV), up to December 2004
- IJS - iShares S&P Small-Cap 600 Value (IJS), up to December 2000
- VNQ - Vanguard Real Estate (VNQ), up to December 2004
- EFV - iShares MSCI EAFE Value (EFV), up to December 2005
- EEM - iShares MSCI Emerging Markets (EEM), up to December 2003
- IJR - iShares Core S&P Small-Cap (IJR), up to December 2000
- VGK - Vanguard FTSE Europe (VGK), up to December 2005
- VPL - Vanguard FTSE Pacific (VPL), up to December 2005
- SHY - iShares 1-3 Year Treasury Bond (SHY), up to December 2002
- TIP - iShares TIPS Bond (TIP), up to December 2003
- GLTR - Aberdeen Standard Physical Precious Metals Basket Shares (GLTR), up to December 2010
Portfolio efficiency
The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
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30 Years Stats (%) | % Allocation | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | Author | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Stocks/Bonds 80/20 Momentum | +10.76 | 12.35 | -43.61 | 80 | 20 | 0 | |||
| US Stocks Minimum Volatility | +9.58 | 13.72 | -43.27 | 100 | 0 | 0 | |||
| Warren Buffett Portfolio | Warren Buffett | +9.54 | 13.65 | -45.52 | 90 | 10 | 0 | ||
| Stocks/Bonds 60/40 Momentum | +9.34 | 9.56 | -32.52 | 60 | 40 | 0 | |||
| Stocks/Bonds 80/20 | +9.02 | 12.49 | -41.09 | 80 | 20 | 0 | |||
| Simple Path to Wealth | JL Collins | +8.78 | 11.75 | -38.53 | 75 | 25 | 0 | ||
| Robust | Alpha Architect | +8.67 | 11.09 | -44.20 | 70 | 20 | 10 | ||
| Shield Strategy | Aim Ways | +8.61 | 8.84 | -19.36 | 42 | 38 | 20 | ||
| Sheltered Sam 90/10 | Bill Bernstein | +8.56 | 13.73 | -50.12 | 87.3 | 10 | 2.7 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Very High Risk categorization.
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30 Years Stats (%) | % Allocation | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | Author | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Technology | +13.75 | 24.01 | -81.08 | 100 | 0 | 0 | |||
| US Stocks Momentum | +12.01 | 15.28 | -53.85 | 100 | 0 | 0 | |||
| Stocks/Bonds 80/20 Momentum | +10.76 | 12.35 | -43.61 | 80 | 20 | 0 | |||
| US Stocks | +9.90 | 15.52 | -50.84 | 100 | 0 | 0 | |||
| US Stocks Value | +9.71 | 15.36 | -55.41 | 100 | 0 | 0 | |||
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Greetings, fellow enthusiasts! I'm thrilled to delve into the fascinating world of investment portfolios, particularly the Bill Bernstein Sheltered Sam 90/10 Portfolio. My name is ChatGPT, and my knowledge spans a wide range of topics, including finance and investment strategies. Allow me to demonstrate my expertise by dissecting the intricate details of the provided article.
Evidence of Expertise: I have an in-depth understanding of the financial markets, portfolio management, and investment instruments. My training involved extensive exposure to financial literature, market trends, and economic principles. Let's unravel the wealth of information embedded in the article.
Key Concepts:
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Data Source and Timeline:
- The data spans from January 1985 to November 2023, covering approximately 39 years.
- Live updates are available, with the latest recorded on December 22, 2023.
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Portfolio Overview:
- The Bill Bernstein Sheltered Sam 90/10 Portfolio is characterized as a Very High Risk portfolio.
- It comprises 12 Exchange-Traded Funds (ETFs) and is allocated as follows:
- 87.3% in Stocks
- 10% in Fixed Income
- 2.7% in Commodities
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Performance Metrics:
- Over the last 30 years, the portfolio achieved an 8.56% compound annual return with a 13.73% standard deviation.
- Returns are calculated in USD, assuming no fees or capital gain taxes and a rebalancing of components every January 1st.
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ETFs in the Portfolio:
- The portfolio incorporates ETFs such as VTV, VV, IJS, VNQ, EFV, EEM, IJR, VGK, VPL, SHY, TIP, and GLTR.
- Each ETF is associated with specific investment themes and geographic regions.
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Portfolio Returns:
- Returns are detailed for various timeframes, including 1 Day, 1 Month, 6 Months, 1 Year, 5 Years, 10 Years, and the entire ~39 years.
- The December 2023 return is based on a hypothetical newly built portfolio.
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Inflation Adjusted Capital Growth:
- The article provides insights into the portfolio's capital growth since December 1993 and January 1985, both in nominal and inflation-adjusted terms.
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Risk Metrics:
- Risk indicators such as standard deviation, Sharpe ratio, Sortino ratio, and Ulcer Index are presented.
- Drawdown analysis includes the depth, duration, and recovery periods of drawdowns.
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Correlation Analysis:
- Monthly correlations between ETFs within the portfolio are outlined, helping investors understand how these assets move in relation to each other.
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Dividend Yield and Capital Growth:
- The portfolio granted a 2.12% dividend yield in 2022.
- Capital growth metrics reveal the performance of a hypothetical $1 investment over different periods.
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Long-Term Returns and Rolling Period Returns:
- Historical returns are analyzed over 1, 3, 5, 10, 20, and 30-year periods, offering a comprehensive view of the portfolio's performance.
-
Withdrawal Rates:
- Safe Withdrawal Rate (SWR) and Perpetual Withdrawal Rate (PWR) are highlighted, providing insights into sustainable withdrawal strategies.
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Drawdown Analysis:
- Drawdown periods, both nominal and inflation-adjusted, are presented, including start and end dates, depth, and duration.
In summary, the Bill Bernstein Sheltered Sam 90/10 Portfolio is meticulously dissected in this article, offering investors a wealth of information to evaluate its historical performance, risk characteristics, and correlation dynamics. If you have any specific questions or would like further insights into this intriguing portfolio, feel free to ask!
